The illumination of single population behaviour subject to the processes of birth, death and immigration has provided a basis for the discussion of the non-Gaussian statistical and temporal correlation properties of scattered radiation. As a first step towards the modelling of its spatial correlations, we consider the populations supported by an infinite chain of discrete sites, each subject to birth, death and immigration and coupled by migration between adjacent sites. To provide some motivation, and illustrate the techniques we will use, the migration process for a single particle on an infinite chain of sites is introduced and its diffusion dynamics derived. A certain continuum limit is identified and its properties studied via asymptotic analysis. This forms the basis of the multi-particle model of a coupled population subject to single site birth, death and immigration processes, in addition to inter-site migration. A discrete rate equation is formulated and its generating function dynamics derived. This facilitates derivation of the equations of motion for the first- and second-order cumulants, thus generalizing the earlier results of Bailey through the incorporation of immigration at each site. We present a novel matrix formalism operating in the time domain that enables solution of these equations yielding the mean occupancy and inter-site variances in the closed form. The results for the first two moments at a single time are used to derive expressions for the asymptotic time-delayed correlation functions, which relates to Glauber’s analysis of an Ising model. The paper concludes with an analysis of the continuum limit of the birth–death–immigration–migration process in terms of a path integral formalism. The continuum rate equation and evolution equation for the generating function are developed, from which the evolution equation of the mean occupancy is derived, in this limit. Its solution is provided in closed form.
Semi-Markov migration process in a stochastic market in credit risk
